Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0035
Annualized Std Dev 0.3659
Annualized Sharpe (Rf=0%) 0.0095

Row

Daily Return Statistics

Close
Observations 3860.0000
NAs 1.0000
Minimum -0.1963
Quartile 1 -0.0083
Median 0.0004
Arithmetic Mean 0.0003
Geometric Mean 0.0000
Quartile 3 0.0088
Maximum 0.2021
SE Mean 0.0004
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0010
Variance 0.0005
Stdev 0.0231
Skewness 0.3662
Kurtosis 12.8984

Downside Risk

Close
Semi Deviation 0.0160
Gain Deviation 0.0188
Loss Deviation 0.0178
Downside Deviation (MAR=210%) 0.0202
Downside Deviation (Rf=0%) 0.0158
Downside Deviation (0%) 0.0158
Maximum Drawdown 0.8459
Historical VaR (95%) -0.0323
Historical ES (95%) -0.0550
Modified VaR (95%) -0.0292
Modified ES (95%) -0.0292
From Trough To Depth Length To Trough Recovery
2007-02-21 2009-03-06 NA -0.8459 3546 515 NA
2006-05-08 2006-06-23 2006-10-04 -0.0740 105 34 71
2006-01-12 2006-01-20 2006-02-22 -0.0446 28 6 22
2005-11-28 2005-12-07 2005-12-14 -0.0250 13 8 5
2006-11-17 2006-11-28 2006-12-05 -0.0214 12 7 5

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA NA NA NA NA NA 0.8 -0.4 0.4
2006 -0.8 0.5 0 -1.7 1.3 -0.8 0 0.2 -0.4 -0.9 -0.4 -1.2 -4.1
2007 0.8 -0.2 -0.1 0.5 0.4 -0.9 0.7 1.1 1.8 -4.6 3.9 0.2 3.3
2008 1.7 -3.6 7.2 4.6 -1.4 2.3 1.4 0.1 6.3 4.5 -16.4 3.6 8.4
2009 -3.9 -7.8 4.3 -1.8 -1.1 -0.4 1.5 -5.9 -4.5 -4.9 -0.1 -0.3 -22.8
2010 1.4 -0.3 0.7 -1.3 -2.2 -0.9 -0.1 4 1 -0.5 2.2 -0.1 3.9
2011 2.4 -2.2 0.9 -0.3 -4.1 1.9 -0.2 -2.9 -3.9 -5 -0.8 -0.7 -14
2012 1.5 0.7 -0.3 0.9 -4.9 2.2 -0.4 0 0.1 1.1 0 1.1 1.9
2013 1.5 0 -1 -1.2 -1.3 1.3 2.4 -1.2 1.1 -0.2 -0.2 0.3 1.3
2014 -1.6 0.7 1.4 -0.4 0.1 0.9 -1.5 0.6 -1.1 1.6 -1.7 -0.8 -2.1
2015 -1.2 -0.7 -0.2 -0.3 -0.4 1.2 -0.4 -4.2 0.1 -1.8 0.5 -1 -8.2
2016 -0.6 4.3 0.4 -0.6 0.2 -1 -0.9 -0.6 1.5 -0.2 2 0.2 4.6
2017 0.1 3.2 -0.9 0.7 1.5 -0.4 0.8 0.7 0.5 -0.2 0.2 -0.9 5.2
2018 1.4 -0.2 1 0.9 1.3 -0.7 0.6 0.5 -0.4 1.1 1.3 0.8 7.9
2019 0.8 0.4 2.8 -1.2 -2 0.8 -3.8 0.3 -2.3 1.9 -0.6 0.3 -2.9
2020 -2 -2.8 -6.7 -4.7 1.4 -3.7 -0.7 0.2 1 1.4 2.3 0.6 -13.3
2021 1.8 3.5 -1 NA NA NA NA NA NA NA NA NA 4.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2005-11-15  51.1 SPY    123. -0.0036    0.0083   0.0347   0.0085   0.0455    0.358  -0.123  GLD    46.7  0.0009   0.0163
2 2005-11-16  50.9 SPY    123.  0.002     0.009    0.0481   0.0106   0.0414    0.351  -0.118  GLD    47.8  0.024    0.0262
3 2005-11-17  51.5 SPY    125.  0.00930   0.0105   0.0406   0.0177   0.0497    0.378  -0.0877 GLD    48.5  0.0147   0.043 
4 2005-11-18  51.7 SPY    125.  0.0039    0.0111   0.0634   0.0217   0.0657    0.385  -0.077  GLD    48.5 -0.0004   0.0355
5 2005-11-21  52.1 SPY    126.  0.005     0.0167   0.0646   0.0288   0.0659    0.362  -0.0961 GLD    49.0  0.0109   0.0508
6 2005-11-22  52.4 SPY    126.  0.0043    0.0248   0.0529   0.0425   0.0689    0.342  -0.095  GLD    49.3  0.0067   0.057 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart